Stochastic and variational approach to finite difference approximation of Hamilton-Jacobi equations

DOI10.1090/mcom/3437zbMath1434.65136arXiv1803.08593OpenAlexW2963518532WikidataQ128221737 ScholiaQ128221737MaRDI QIDQ5216725

Kohei Soga

Publication date: 18 February 2020

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.08593

zbMATH Keywords

Hamilton-Jacobi equationviscosity solutionfinite difference schemelaw of large numberscalculus of variationsrandom walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Hyperbolic conservation laws (35L65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)

Related Items (2)

A Remark on Tonelli’s Calculus of Variations ⋮ Weak KAM theory for action minimizing random walks

Cites Work

• Semiconcave functions, Hamilton-Jacobi equations, and optimal control
• Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
• Selection problems of \({{\mathbb {Z}}}^2\)-periodic entropy solutions and viscosity solutions
• Space-time continuous limit of random walks with hyperbolic scaling
• The Cauchy problem for a nonlinear first order partial differential equation
• More on stochastic and variational approach to the Lax-Friedrichs scheme
• Difference approximation to Aubry–Mather sets of the forced Burgers equation
• Two Approximations of Solutions of Hamilton-Jacobi Equations
• Fast weak–KAM integrators for separable Hamiltonian systems
• Discontinuous solutions of non-linear differential equations
• Stochastic and variational approach to the Lax-Friedrichs scheme

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